We analyze gains from intercorporate sales of mutual fund subsidiaries, using mandated SEC disclosures to assess the performance of mutual funds transferred by these transactions. Sellers are financial conglomerates (banks) using equity-based deals to transfer poorly performing funds to highly...

The purpose of this doctoral thesis is clearly established: to understand whether fund of hedge funds based portable alpha strategies provide tools for better investment results commensurate with risk and costs.A finance literature review is presented, which also delves into the roots of hedge...

Fund managers are paid a fixed management fee in proportion to their assets under management. This means to maximize revenue, managers hoard assets. Whilst this results in increased revenue for the manager often, due to diseconomies of scale, it results in lower returns for the investor. Here we...

Fund managers can only exhibit selectivity through purchasing (selling) stocks that appreciate (depreciate) more frequently than expected from random occurrence, if stocks are incorrectly priced. We develop a method that can statistically identify fund managers that exhibit net, buy, and sell...

Stocks with high sentiment betas are more sensitive to investor sentiment, with more subjective valuations. We contend that sentiment beta also captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders. We...

Basel II defines operational risk as the risk of direct or indirect loss resulting from inadequate or failed internal processes people or systems or from external events. In the past decade there have appeared a number of quantitative approaches to measuring this risk, approaches that abstract...

Hedge funds (and their clients) investing in gold should be aware of the differences among competing gold investment products. Gold appeals to different investors for different reasons, and different gold investment products can be more or less responsive to the investor's motivations. Hedge...

We examine fund-by-fund whether managers tilt their portfolios by purchasing stocks that appreciate while disposing stocks that depreciate. Using a unique method we identify statistically whether these managers exhibit selectivity in their trades. We find proportions of funds exhibiting good or...

Long-short and market neutral funds seek superior risk-adjusted returns while limiting their exposure to stock market risk. Over the 1999 to 2013 period the number of funds with these investment objectives increased by over 700 percent. Despite their growing popularity, we find that long-short...